Economic policy uncertainty and stock price crash risk

2021 ◽  
pp. 1-23
Author(s):  
Yong Du ◽  
Xin Sui ◽  
Wei Wei ◽  
Jun Du
Keyword(s):  
Economic Policy ◽  
Stock Price ◽  
Crash Risk ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty

Economic policy uncertainty and stock price crash risk

2019 ◽  
Vol 58 (5) ◽  
pp. 1291-1318 ◽  
Author(s):  
Xuejun Jin ◽  
Ziqing Chen ◽  
Xiaolan Yang
Keyword(s):  
Economic Policy ◽  
Stock Price ◽  
Crash Risk ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty

Economic policy uncertainty and stock price synchronicity: Evidence from China

2021 ◽  
Vol 65 ◽  
pp. 101485
Author(s):  
Huayu Shen ◽  
Runxin Liu ◽  
Hao Xiong ◽  
Fei Hou ◽  
Xiaoyi Tang
Keyword(s):  
Economic Policy ◽  
Stock Price ◽  
Policy Uncertainty ◽  
Stock Price Synchronicity ◽  
Economic Policy Uncertainty

scholarly journals Measuring Economic Policy Uncertainty*

2016 ◽  
Vol 131 (4) ◽  
pp. 1593-1636 ◽  
Author(s):  
Scott R. Baker ◽  
Nicholas Bloom ◽  
Steven J. Davis
Keyword(s):  
Economic Policy ◽  
Stock Price ◽  
Price Volatility ◽  
The United States ◽  
Policy Uncertainty ◽  
Firm Level ◽  
Vector Autoregressive ◽  
Economic Policy Uncertainty ◽  
Level Data ◽  
The 1960S

Abstract We develop a new index of economic policy uncertainty (EPU) based on newspaper coverage frequency. Several types of evidence—including human readings of 12,000 newspaper articles—indicate that our index proxies for movements in policy-related economic uncertainty. Our U.S. index spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt ceiling dispute, and other major battles over fiscal policy. Using firm-level data, we find that policy uncertainty is associated with greater stock price volatility and reduced investment and employment in policy-sensitive sectors like defense, health care, finance, and infrastructure construction. At the macro level, innovations in policy uncertainty foreshadow declines in investment, output, and employment in the United States and, in a panel vector autoregressive setting, for 12 major economies. Extending our U.S. index back to 1900, EPU rose dramatically in the 1930s (from late 1931) and has drifted upward since the 1960s.

scholarly journals Preventing crash in stock market: The role of economic policy uncertainty during COVID-19

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Peng-Fei Dai ◽  
Xiong Xiong ◽  
Zhifeng Liu ◽  
Toan Luu Duc Huynh ◽  
Jianjun Sun
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Negative Correlation ◽  
Crash Risk ◽  
Policy Uncertainty ◽  
Stock Market Crash ◽  
Economic Policy Uncertainty ◽  
The Us ◽  
The Impact

AbstractThis paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show the significantly negative correlation between EPU and stock market crash risk, indicating the aggravation of EPU increase the crash risk. Moreover, the negative correlation gets stronger after the global COVID-19 outbreak, which shows the crash risk of the US stock market will be more affected by EPU during the epidemic.

scholarly journals Economic Policy Uncertainty and Corporate Mergers and Acquisitions

2020 ◽  
Vol 3 (4) ◽  
Author(s):  
Xun Han ◽  
Kexin Chen ◽  
Xianjing Huang
Keyword(s):  
Corporate Governance ◽  
Economic Policy ◽  
Mergers And Acquisitions ◽  
Stock Price ◽  
Price Volatility ◽  
Financing Constraints ◽  
Policy Uncertainty ◽  
Economic Policies ◽  
Economic Policy Uncertainty ◽  
The Relationship

In recent years, the frequent adjustment of the government’s economic policies and the uncertainty of foreign economic situations have made the degree of uncertainty of China’s economic policies rise continuously. The increasing degree of policy uncertainty will inevitably affect the investment and financing decisions of micro enterprises. Then, how does economic policy uncertainty (EPU) affect mergers and acquisitions (M&A) behavior? What’s the mechanism? Based on the above questions, this paper uses the data of non-financial listed companies in the Shanghai and Shenzhen stock exchanges from 2008 to 2018 as a sample to explore the relationship between EPU and M&A. The study shows that rising EPU will promote corporate M&A behavior, and this effect is more significant in slow-growth companies. The relationship between EPU and M&A is affected by corporate governance, stock price volatility and financing constraints. Specifically, the company’s M&A size is more sensitive to EPU with higher level of corporate governance, higher level of stock price volatility, and lesser financing constraints. Further research shows that the rise of EPU will significantly promote the improvement of M&A performance in the short-term, but this effect does not exist in the long-term. Various robustness checks do not change the empirical results of this paper. 

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